The Badr-1 missile targeted "a new military camp," according to media reports.
On August 28, Saudi Arabian air defense forces intercepted a missile fired in the direction of the city of Najran by Yemen's Houthi rebels.
Saudi Arabia is frequently targeted by rebels from within Yemen who conduct missile launches.
For the past several years, Yemen has been engulfed in a violent conflict between the government and the Houthis.
Following a Saudi strike on a school bus that killed 40 Yemeni children earlier in August, US Defense Secretary James Mattis warned Saudi Arabia that support for its intervention in the neighboring country was "not unconditional" and urged the Kingdom to "do everything humanly possible to avoid any innocent loss of life," according to CNN.